José Millán Astray was born on 5 July 1879 in A Coruña, A Coruña, Galicia, Spain. He was married to Rita Gasset. He died on 2 January 1954 in Madrid, Madrid, Spain.
His second wife, Rita Gasset, was the daughter of Nationalist General Rafael Gasset, who was first cousin of author José Ortega y Gasset. The couple gave birth to their only daughter, Peregrina, while living in Portugal.